价格支持政策改革背景下国内外大豆市场动态关联分析——基于贝叶斯DCC-GARCH模型

发布时间：2018-02-27 13:42

本文关键词： 现货市场期货市场动态关联性贝叶斯DCC-GARCH模型价格支持　出处：《农业技术经济》2016年08期 　论文类型：期刊论文

【摘要】：本文利用2007年1月—2015年6月国内外大豆现货与期货市场交易日价格高频数据,构建贝叶斯DCC-GARCH模型,定量分析了国产大豆现货价格、进口大豆现货价格、大连大豆期货价格及美国CBOT大豆期货价格的波动特征及其相关性。研究表明,国内外大豆期货市场与现货市场的价格波动具有非对称性,均呈偏态分布;现货和期货价格波动的衰减速度随波动幅度的增加逐渐放缓。同时,进口现货市场与大连期货市场的关联性逐渐增加,大豆贸易商期货市场的参与度日渐提高;国产大豆现货市场由于政策因素带来的市场分割,使其与进口现货市场、大连期货市场和美国CBOT期货市场的关联度很低;2014年大豆产业的市场化改革在一定程度上缓解了进口大豆主导市场价格的局面。
[Abstract]:Based on the high frequency data of spot and futures price of soybean in China and abroad from January 2007 to June 2015, a Bayesian DCC-GARCH model is constructed to analyze the spot price of domestic soybean and the spot price of imported soybean. The fluctuation characteristics and correlation of soybean futures price in Dalian and CBOT in USA. The research shows that the price fluctuation between domestic and foreign soybean futures market and spot market is asymmetric, and both of them are skewed distribution. The attenuation rate of spot and futures price fluctuation gradually slows down with the increase of volatility. At the same time, the relevance of import spot market and Dalian futures market increases gradually, and the participation of soybean traders futures market increases day by day. The domestic spot soybean market is separated from the imported spot market because of the market segmentation caused by the policy factors. The correlation between Dalian futures market and American CBOT futures market is very low. In 2014, the market reform of soybean industry alleviated the market price of imported soybean to some extent.
【作者单位】：中国农业大学经济管理学院;北京农业职业学院;
【基金】：国家自然科学基金(编号:71503250) 农业部专项“大豆市场监测预警”;农业部软科学“大豆目标价格制度执行与评价研究”(编号:201516-1) 清华大学中国农村研究院“农产品目标价格改革跟踪研究——以大豆为例”(编号:CIRS2015-1-1)资助
【分类号】：F323.7;F724.5

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